Minimum Distance Estimation and Testing of DSGE Models from Structural VARs

The aim of this paper is to complement the MDE--SVAR approach when the weighting matrix is not optimal. In empirical studies, this choice is motivated by stochastic singularity or collinearity problems associated with the covariance matrix of Impulse Response Functions. Consequently, the asymptotic distribution cannot be used to test the economic model's fit. To circumvent this difficulty, we propose a simple simulation method to construct critical values for the test statistics. An empirical application with US data illustrates the proposed method.MDE, SVAR, DSGE models.

La TVA sociale : bonne ou mauvaise idée ?

The quantitative and dynamic consequence of a social VAT reform, i.e. a fiscal reform consisting in substituting VAT for social contributions, is assessed using two general equilibrium models. The first one is a Walrasian model with no other frictions than distortionary taxation of labor and capital incomes and consumption. The second one introduces in addition matching frictions in the labor market. Two alternative financing schemes are considered for the practical details of implementing the social VAT. In all cases, the fiscal reform turns out to generate a small, positive long--run effect on aggregate variables and yields a modest welfare gain. In the no--friction model, this welfare gain is substantially reduced when the reform is pre--announced six quarters prior to implementation. The effect of such a pre-announced reform are smaller when labor market frictions are taken into account.social VAT, DGE, pre-announced fiscal reform.

Chocs d’Offre et Optimalité de la Politique Monétaire dans la Zone Euro

This article assesses monetary policy's performances in the Euro zone in the face of supply shocks. We determine the responses of output, inflation, labor share and the nominal interest rate to a supply shock as identified through a structural VAR model. We then develop a DSGE model with nominal rigidities subject to the optimal monetary policy. The model is estimated and tested on the basis of its ability to reproduce the responses drawn from the VAR model. Our results suggest that assuming optimal monetary policy allows for a satisfying fit to the data.Supply shocks ; SVAR ; Optimal Monetary Policy.

Une estimation de la cible implicite d’inflation dans la zone euro

Euro area countries as a whole have experienced a marked downward trend over the 1980s. Over this period, the unemployment rate has increased and economic activity has been sluggish. Changes in the implicit inflation target, viewed as low frequency movements of inflation, might possibly explain these developments. To highlight this issue, the present study estimates the dynamics of the implicit inflation target in the euro zone over the period 1970Q1-2004Q4. Based on a small macroeconometric model, the implicit target, not known by the econometrician, is identified through a minimal set of theoretical restrictions: (i) the inflation target is a non stationary process, (ii) inflation is a monetary phenomenon in the long-run, and (iii) changes in the implicit target have no long-run effects whatsoever on real variables. The model is estimated so as to match output growth, changes in inflation and the ex post real interest rate. Our main results are: (i) inflation target shocks account for the bulk of nominal fluctuations; (ii) due to monetary policy inertia and nominal stickiness, changes in the target generate large swings in the real interest rate translating into substantial short-run effects on real variables; (ii) in spite of this inflation target shocks moderately impact on output dynamics.Implicit inflation target, Macroeconometric modelling, Euro area.